Arbour CLO V Ltd: 05 August 2018

The assets securing the notes will consist of a portfolio of Senior Loans, Secured Senior Bonds, Mezzanine Obligations and High Yield Bonds, and will be managed by Oaktree Capital Management (UK) LLP.

Eligibility criteria (includes): it is a Secured Senior Loan, a Secured Senior Bond, a Corporate Rescue Loan, an Unsecured Senior Obligation, a Mezzanine Obligation, a Second Lien Loan, a High Yield Bond, a PIK Obligation or a Bridge Loan; it is (i) denominated in Euro or (ii) denominated in a Qualifying Currency other than Euro; it is not a Defaulted Obligation or a Credit Impaired Obligation; it is not a lease; it is not a Structured Finance Security, a Project Finance Loan, a pre-funded letter of credit or a Synthetic Security; it is an obligation which has a Moody’s Rating of “Caa3” or higher and a Fitch Rating of “CCC” or higher; it is not a Step-Down Coupon Security; it is not, and is not convertible into, an equity security; it is not a Zero Coupon Obligation or a Current Pay Obligation.

The Issuer anticipates that by the Issue Date it will have purchased or committed to purchase Collateral Debt Obligations, the Aggregate Principal Balance of which is equal to at least €380mln, which is approximately 95.0% of the Target Par Amount.

EU Risk Retention: The Collateral Manager shall act as Retention Holder and will undertake to retain Subordinated Notes having a Principal Amount Outstanding (as of the Issue Date) equal to no less than 5% of the Target Par Cap. There is no restriction on the ability of the Collateral Manager or any Collateral Manager Related Parties to acquire additional Subordinated Notes or any Notes of any Class at any time. It is possible that one or more Collateral Manager Related Parties may acquire Subordinated Notes in addition to those held by the Retention Holder.

US Risk Retention: The Collateral Manager has determined that the U.S. Risk Retention Rules do not apply to the Collateral Manager for purposes of this transaction on the Issue Date and accordingly, the Collateral Manager will not (nor will any majority-owned affiliate of the Collateral Manager) acquire any risk retention interest contemplated by the U.S. Risk Retention Rules.